거래량을 이용한 투자자의 자기과신, 주식수익률의 관계에 관한 연구 (A Study on the Relationship between Investor's Overconfidence and Stock Returns Using Trading Volume)

서지정보

· 발행기관 : 한국재무학회
· 수록지 정보 : 재무연구 / 34권 / 4호 / 149 ~ 198페이지
· 저자명 : 김소명, 옥기율

초록

행동재무학에 따르면 주식시장에서 관심효과는 투자자의 의사결정에 중요한 영향을미친다. 투자자의 관심이 높은 주식은 과신과 같은 투자자의 비합리적인 편향이증가하며 이러한 심리적 편향은 해당자산에 대한 과잉반응을 야기하며, 과신하는투자자는 공격적인 거래를 하며 투자자의 관심은 높은 거래량을 야기한다. 본 연구는국내 주식시장을 표본으로 투자자의 관심효과로 인한 과신과 거래량의 관계를조사한다. 우리는 개별자산에 대한 투자자 과신의 정도를 측정할 수 있는 변수를제시하고, 투자자의 과신 변수를 이용하여 국내 유가증권시장에서 투자자의 과신이주식수익률에 미치는 영향을 분석한다. 그 결과, 투자자의 과신이 높은 자산일수록낮은 미래수익률을 가지는 현상을 확인한다. 이러한 현상은 기업특성요인, 투자자의과잉반응, 변동성과 도박성향 특성을 고려한 후에도 유지된다. 더 나아가, 주식수익률과투자자의 과신의 관계는 개인투자자의 거래비중이 높은 주식과 시장에서 더욱뚜렷하게 나타나며, 기간에 따라 투자자의 과신이 주식수익률에 미치는 영향이변화한다. 따라서 국내 주식시장에서 개별자산에 대한 투자자의 과신은 주식수익률에유의한 음의 영향을 미치며, 횡단면적으로 유의한 음의 예측력을 가짐을 확인한다.

영어초록

According to behavioral finance, the effect of attention in the stock market has a significant impact on investor decision-making. Individual stocks of high investor attention increase investor irrational bias, such as overconfidence, and this psychological bias causes an overreaction to the asset. Overconfidence investors make aggressive transactions, and investor attention causes high trading volume.
This study investigates the impact of investor overconfidence on stock returns in the Korean stock market based on the fact that investor confidence due to the effect of investor attention is closely related to trading volume. We present variables that can measure the degree of investor overconfidence in individual assets and analyze the effect of investor overconfidence on stock returns in the Korean securities market. In this study, we present the investor's overconfidence measure (IOC) using the highest trading volume over the past 12 months and the current trading volume.
At the end of each month, we form a portfolio of deciles based on IOC to confirm the relationship between stock returns and investors' overconfidence. We focus on extreme portfolios to determine the impact of IOC on future returns. If the investor's overconfidence has a significant negative effect on the stock return, the investor's overconfidence has a relatively low stock return on an extremely high portfolio. As a result, the higher the investor's confidence, the lower the future return. It argued that the relationship between investor overconfidence and stock returns through a zero-cost portfolio strategy in which longs the lowest IOC portfolio and shorts the highest IOC portfolio, the IOC strategy has a significant positive return. This phenomenon is maintained even after considering firm characteristics factors, investor overreaction, volatility, and gambling tendency. The IOC's significant negative predictive power for stock returns is maintained through Fama-MacBeth cross-sectional regression analysis. Furthermore, We reaffirm the results of this study by the proportion of individual investors' trading, the separation of sub-periods, and the past period constituting the IOC. As a result of dividing the portfolio according to the proportion of individual investors, the higher the proportion of individual investors, the more pronounced the significant negative relationship between stock returns and investors' overconfidence. Moreover, the results of the KOSDAQ market where individual investors have a high proportion of transactions and high volatility has a higher return on IOC strategy. The sample period is divided into four sub-periods and analyzed. We confirm that the relationship between investor overconfidence and stock returns is relatively weakened after the financial crisis. In addition, the return on the IOC strategy increases as individual investors' market participation increases after the outbreak of coronavirus in the Korean stock market. These results reaffirm that the IOC fully reflects the psychological changes of individual investors. Finally, as a result of changing the past period constituting the IOC to 6, 18, and 24 months, the IOC strategy has a significant positive rate of return in all past periods. Accordingly, investors' overconfidence in individual assets in the domestic stock market has a significant negative effect on the stock returns and a significant cross-sectional negative predictive power. This study is meaningful in that it studied the effect of investor overconfidence on the stock market due to the effect of interest in individual assets in the domestic stock market. Furthermore, it has implications for related fields in that it presents measures indicating the degree of investor overconfidence in individual assets and presents empirical results. And report the results of controlling several variables closely related to investor overconfidence.
These results support the existing argument that investors' overconfidence has a significant effect on stock returns.

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